System and method for processing composite trading orders

ABSTRACT

A system for processing a composite trading order comprises a memory operable to store market data received from one or more market centers. The system further comprises a processor operable to generate a composite value based at least in part on the market data. The processor is further operable to receive a composite trading order associated with at least a portion of the composite value. The processor is further operable to generate a plurality of constituent trading orders that, when filled, combine to satisfy the composite trading order.

CROSS-REFERENCE TO RELATED APPLICATIONS

This patent application is a continuation application of U.S. patentapplication Ser. No. 12/687,372, which was filed Jan. 14, 2010, now U.S. Pat. No. 7,873,565 which is hereby incorporated by reference hereinin its entirety, and which is a continuation application of U.S. patentapplication Ser. No. 11/399,019 (now U.S. Pat. No. 7,711,644, issued May4, 2010), which was filed Apr. 5, 2006, which is hereby incorporated byreference herein in its entirety, and which is related to and claimedthe benefit of U. S. Provisional Application No. 60/753,095 filed Dec.20, 2005.

TECHNICAL FIELD OF THE INVENTION

The present invention relates generally to electronic trading and morespecifically to a system and method for generating and displayingcomposite values and receiving and executing composite trading orders.

BACKGROUND OF THE INVENTION

In recent years, electronic trading systems have gained widespreadacceptance for trading of a wide variety of items, such as goods,services, financial instruments, and commodities. For example,electronic trading systems have been created which facilitate thetrading of financial instruments and commodities such as stocks, fixedincome securities including notes and bonds, currencies, futurescontracts, oil, and gold.

Many of these electronic trading systems allow traders to submit tradingorders for particular trading products to market centers. Using tradingorders, traders typically deal in one trading product and in one marketcenter at a time. However, financial markets and trading strategies haveevolved so that traders find it more beneficial to trade subject tostrategies that may call for trades that deal in more than one tradingproduct and more than one market center. Sometimes, there may beinsufficient liquidity in the market centers to fill a particulartrading order for a particular trading product or group of tradingproducts, and the information that must be processed to identify optimaltrading opportunities may be so extensive as to delay or inhibit theexecution of the trading strategy. Such situations may prevent a traderfrom executing the desired trading order or series of trading orders. Inaddition, such situations may cause a trader to be left with an unfilledor partially filled trading order. That trader may subsequently attemptto identify alternative trading products and/or market centers wherethere is sufficient liquidity. To identify alternative trading productsand/or market centers, a trader may be required to track multipledifferent trading products and market centers and the relationshipsamong those trading products and market centers. Such a process may betime consuming and cause a trader to miss opportunities for makingbeneficial trades.

SUMMARY OF THE INVENTION

In accordance with the present invention, the disadvantages and problemsassociated with prior electronic trading systems have been substantiallyreduced or eliminated.

A system for processing a composite trading order comprises a memoryoperable to store market data received from one or more market centers.The system further comprises a processor operable to generate acomposite value based at least in part on the market data. The processoris further operable to receive a composite trading order associated withat least a portion of the composite value. The processor is furtheroperable to generate a plurality of constituent trading orders that,when filled, combine to satisfy the composite trading order.

Various embodiments of the present invention may benefit from numerousadvantages. It should be noted that one or more embodiments may benefitfrom some, none, or all of the advantages discussed below. One advantageof the present invention is the display of a single composite valuerepresenting multiple trading products in various market centers. Atrader may use the composite value to submit, in a single action, acomposite trading order based on related trading products according tothe specifications and preferences input by the trader. Using thecomposite trading order, the present invention may automaticallygenerate multiple constituent trading orders in order to aggress,substantially simultaneously, across liquidity pools of related tradingproducts. Accordingly, the system may save a trader the time andcalculations involved in separately preparing and inputting tradingorders for related trading products. As another advantage, because theconstituent trading orders are derived from and allocated according tospecifications and preferences that underlie the composite tradingorder, the system will substantially simultaneously identify theliquidity pools and appropriate weightings among trading products andmarket centers such that there is likely to be sufficient liquidity inthe market centers to quickly fill the constituent trading orders. It istherefore advantageous to present a single composite value thatrepresents the financial impact of a chosen trading strategy across allrelated trading products and market centers, and to permit the trader todeal on the composite value with a single action such as a compositeorder wherein the trading system allocates constituent trading ordersamong trading products and market centers subject to known mathematicalrelationships amongst them, and within limits and tolerances specifiedby the user.

Other advantages will be readily apparent to one having ordinary skillin the art from the following figures, descriptions, and claims.

BRIEF DESCRIPTION OF THE DRAWINGS

For a more complete understanding of the present invention and itsadvantages, reference is now made to the following description, taken inconjunction with the accompanying drawings, in which:

FIG. 1 illustrates one embodiment of a trading system in accordance withthe present invention;

FIG. 2 illustrates an alternative architecture for the trading systemaccording to certain embodiments of the present invention;

FIG. 3 illustrates a flow of operation among various components of thesystem illustrated in FIG. 1;

FIG. 4 a illustrates market data according to certain embodiments of thepresent invention;

FIG. 4 b illustrates trading information according to certainembodiments of the present invention;

FIG. 4 c illustrates a trader profile according to certain embodimentsof the present invention; and

FIG. 5 illustrates a flowchart of an exemplary method for processingcomposite trading orders.

DETAILED DESCRIPTION OF EXAMPLE EMBODIMENTS OF THE INVENTION

FIG. 1 illustrates one embodiment of a trading system 10 comprising atrading platform 12 coupled to clients 14 and market centers 18 vianetworks 16. Generally, trading system 10 is operable to receive andexecute trading orders 20 from traders 24. Using at least market data40, system 10 is operable to generate and display a composite value 48representing relationships among and the liquidity of multiple tradingproducts. With a single input, a particular trader 24 may use compositevalue 48 to submit a composite trading order 42. Composite trading order42 may be configured according to trader preferences 50 and may be basedon any suitable number and combination of trading products. It should benoted that in certain cases composite trading order 42 may beautomatically configured to take the form of a particular trading order20 for a single trading product. However, if there is insufficientliquidity in market centers 18 to fill a particular trading order 20,then composite trading order 42 may automatically aggress, substantiallysimultaneously, related trading products in multiple market centers 18.Thus, composite trading orders 42 may facilitate trading despite theinsufficiency of a particular liquidity pool to fill a particulartrading order 20 for a particular trading product. By facilitating suchtrading, system 10 may increase liquidity in the marketplace.

Notably, the use of composite trading orders 42 may benefit trader 24.With a single input, trader 24 may use composite trading order 42 toaggress across liquidity pools of multiple trading products. Uponreceiving a single input from trader 24, system 10 may generate multipleconstituent trading orders 46 based on the related trading productsunderlying composite trading order 42. Constituent trading orders 46 maybe transmitted substantially simultaneously to any number andcombination of market centers 18 for execution. Thus, system 10 may savetrader 24 the time and effort involved in preparing and submitting todifferent market centers 18 multiple trading orders 20 for relatedtrading products.

Each individual constituent trading order 46 can be understood as anindividual trading order 20, such as an order to buy or sell aparticular quantity of a particular trading product. Trading order 20may be associated with a target price (e.g., target bid price and/ortarget offer price) for the trading product. The trading product thatforms the basis of a given trading order 20 may comprise any type ofgoods, services, financial instruments, commodities, equities, stocks,fixed income securities, interest rate derivatives, currencies, futurescontracts, debentures, options, securities, derivative tradinginstruments, and any other suitable product or combination of products.

System 10 is generally operable to identify relationships betweentrading products. Trading products may be related in a number of ways.For example, the historical performance of a ten-year note issued byentity X may be correlated to that of a five-year note issued by entityX. Although they are different trading products, the ten-year note andthe five-year note share the same issuing entity and are correlated intheir performance trends. Thus, a trader 24 who is interested in tradingten-year notes issued by entity X may also be interested in tradingfive-year notes issued by entity X. In addition, a weighted composite offive-year, three-year, and two-year notes issued by entity X may besubstantially the same in performance and cost as a number of ten-yearnotes for purposes of a given trade or series of trades. As anotherexample of related trading products, currency futures contracts fordifferent expiration dates and different currencies may have similarperformance trends. Although fixed income securities, foreign exchange,and financial and currency futures contracts are described herein, itwill be understood that there may be any number, combinations, and typesof related trading products.

System 10 is operable to use current market data to determine a quantityof a particular trading product that may be equivalent to a quantity ofa related trading product. For example, system 10 may calculate how manyfive-year notes are equivalent to a number of ten-year notes. Such acalculation may be based on any suitable number and combination offactors such as, for example, the coupons, frequencies, face values,prices, and maturity dates of five-year and ten-year notes. Usingcurrent market data, system 10 may determine the relationships amongtrading products at any given time.

System 10 is further operable to determine the liquidity associated withparticular trading products. The liquidity associated with a tradingproduct refers to the volume of trading product available for trade inmarket centers 18. The available volume of trading product in marketcenters 18 may be referred to as a liquidity pool 70. At any given time,system 10 may determine the available volume of a particular tradingproduct in market centers 18.

Using at least market data 40, system 10 may generate a composite value48. Composite value 48 may be a single value that encompasses therelationships among and the liquidity of multiple trading products inmultiple market centers 18. In particular, composite value 48 mayrepresent a quantity, size, or any other measurement of one or morerelated products that are available for trade in various market centers18 at any given time. In this respect, composite value 48 comprises anaggregate value that may be aggressed by a single order. Composite value48 may be based on any suitable mathematical calculations and/or modelsfor determining relationships among trading products. As an example,composite value 48 may be configured to represent a quantity of “10-yearequivalent” fixed income securities available for trade in marketcenters 18. The quantity of 10-year equivalent securities may encompassthe total number of available 10-year notes as well as a weightedquantity of 2-year notes, 3-year notes, 5-year notes, and/or any othersuitable number and combination of related trading products. Theweighted quantity of related trading products (e.g., 2-year notes,3-year notes, 5-year notes, etc.) may be incorporated into compositevalue 48 because that weighted quantity may be considered substantiallyequivalent (e.g., in performance, yield, price sensitivity to movementsin a yield curve, and/or any other suitable number and combination ofcharacteristics) to 10-year notes.

System 10 may display composite value 48 to trader 24, who may usecomposite value 48 to submit, in one action, a composite trading order42. System 10 may process composite trading order 42 to aggress,substantially simultaneously, the different liquidity pools 70 of therelated trading products underlying composite value 48. In particular,system 10 may process composite trading order 42 based on current marketdata 40 using known or proprietary mathematical computations and/ormodels that are associated with the types of trading products formingcomposite value 48. For example, certain market data 40 and mathematicalcomputations and/or models may be used to process composite tradingorders 42 associated with fixed income securities whereas differentmarket data 40 and mathematical computations and/or models may be usedto process composite trading orders 42 associated with currencies andfutures contracts on currencies. Additionally, certain market data 40and mathematical computations and/or models may be used to processcomposite trading orders 42 associated with fixed income securities,bond and note futures, bond and note options, currencies, futures oncurrencies, options on currencies, and/or any suitable number andcombination of trading products underlying a single composite tradingorder 42. In each case, if trader 24 submits composite trading order 42,system 10 may generate and simultaneously execute constituent tradingorders 46 corresponding to composite trading order 42. Constituenttrading orders 46 are therefore understood as a collection of any numberof trading orders for trading products that underlie composite value 48.

The foregoing example illustrates a composite trading value 48representing a weighted quantity based on equivalents to 10-year notes.It should be understood, however, that composite trading value 48 may beconfigured to represent a weighted quantity based on equivalents to anysuitable number and combination of trading products.

System 10 may comprise one or more clients 14. Clients 14 comprise anysuitable local or remote end-user devices that may be used by traders 24to access one or more elements of trading system 10, such as tradingplatform 12. For example, client 14 may comprise a computer,workstation, telephone, an Internet browser, an electronic notebook, aPersonal Digital Assistant (PDA), a pager, or any other suitable device(wireless or otherwise), component, or element capable of receiving,processing, storing, and/or communicating information with othercomponents of system 10. Client 14 may also comprise any suitableinterface for trader 24 such as a display, microphone, keyboard, and/orany other appropriate terminal equipment according to particularconfigurations and arrangements. It will be understood that there may beany number of clients 14 coupled to trading platform 12.

Although clients 14 are described herein as being used by traders 24, itshould be understood that the term “trader” is meant to broadly apply toany user of trading system 10, whether that user is an agent acting onbehalf of a principal, a principal, an individual, a legal entity (suchas a corporation), or any machine or mechanism that is capable ofplacing and/or responding to trading orders 20 in system 10.

Network 16 is a communication platform operable to exchange data orinformation between clients 14 and trading platform 12 and/or marketcenters 18. In some embodiments, network 16 may represent an Internetarchitecture that enables clients 14 to communicate with platform 12and/or market centers 18. In other embodiments, network 16 may be aplain old telephone system (POTS), which traders 24 could use to performthe same operations or functions. In some embodiments, network 16 may beany packet data network (PDN) offering a communications interface orexchange between any two nodes in system 10. Network 16 may furthercomprise any combination of the above examples and any local areanetwork (LAN), metropolitan area network (MAN), wide area network (WAN),wireless local area network (WLAN), virtual private network (VPN),intranet, or any other appropriate architecture or system thatfacilitates communications between clients 14 and platform 12 and/ormarket centers 18.

Market centers 18 comprise all manner of order execution venuesincluding exchanges, Electronic Communication Networks (ECNs),Alternative Trading Systems (ATSs), market makers, or any other suitablemarket participants. Each market center 18 maintains a bid and offerprice in a given trading product by standing ready, willing, and able tobuy or sell at publicly quoted prices, also referred to as market centerprices. A particular market center 18 may facilitate trading of multipletrading products, such as, for example, stocks, fixed income securities,futures contracts, currencies, precious metals, and so forth. Marketcenters 18 may output market data 40 associated with trading products.Market data 40 refers to current and/or historical market informationsuch as, for example, trading conditions, trading volumes, bestbid/offer prices, yield spreads, trends, and so forth.

Trading platform 12 is a trading architecture that facilitates therouting, matching, and otherwise processing of trading orders 20 and/orcomposite trading orders 42. Platform 12 may comprise a managementcenter or a headquartering office for any person, business, or entitythat seeks to manage the trading of orders 20. Accordingly, platform 12may include any suitable combination of hardware, software, personnel,devices, components, elements, or objects that may be utilized orimplemented to achieve the operations and functions of an administrativebody or a supervising entity that manages or administers a tradingenvironment. Trading platform 12 may comprise memory 34 and processor32.

Memory 34 comprises any suitable arrangement of random access memory(RAM), read only memory (ROM), magnetic computer disk, CD-ROM, or othermagnetic or optical storage media, or any other volatile or non-volatilememory devices that stores one or more files, lists, tables, or otherarrangements of information. In particular, memory 34 may store traderprofiles 36, ruleset 38, and logic 39.

Trader profiles 36 comprise information regarding the tradingpreferences 50 of traders 24. Each trader profile 36 in memory 34 may beassociated with a particular trader 24. Trading preferences 50 maycomprise ratios, price ranges, quantity ranges, thresholds, yieldspreads, limits, conditions, and/or any other suitable criteria thattrader 24 may deem relevant to a trading decision. Trading preferences50 may relate to any aspect of trading orders 20 and/or compositetrading orders 42 such as, for example, size, price, yield spreads, andso forth. According to certain embodiments, preference 50 of aparticular trader 24 may be an algorithm, mathematical model, formula,function, and/or table customized, selected, and/or submitted by thattrader 24 to system 10. Such a preference 50 may be used by processor 32to generate composite value 48 to display to trader 24 associated withthat preference 50. Preferences 50 may be default preferences (e.g.,industry accepted formulas, values, models, etc.) or customizedpreferences (e.g., user specific formulas, values, models, etc.). Thus,different traders 24 may use different preferences 50 (e.g., parameters,thresholds, criteria, functions, models, etc.) such that processor 32may generate composite value 48 according to the strategies, goals,plans, and/or trading tendencies of each trader 24. Moreover, traders 24may have the same or different preferences 50 depending on the types oftrading products being contemplated for the transaction.

Memory 34 may also store ruleset 38. Ruleset 38 may comprise data,algorithms, rules, tables, and/or functions for generating compositevalue 48 and processing composite trading orders 42. In particular,ruleset 38 may be usable to identify relationships among differenttrading products. Ruleset 38 may comprise relationship data 62 and rules64. Relationship data 62 may comprise historical data for comparing theperformance of various trading products. Rules 64 may comprise rules,formulas, algorithms, functions, and/or logic for weighing differenttrading products in generating composite value 48.

In addition to storing ruleset 38, memory 34 may store logic 39. Logic39 may be any software, logic, or code stored on a computer-readablemedium. When executed by processor 32, logic 39 may be operable todirect processor 32 to perform the functions and operations describedherein.

Although FIG. 1 illustrates memory 34 as internal to trading platform12, it should be understood that memory 34 may be internal or externalto components of system 10, depending on particular implementations.Also, memory 34 illustrated in FIG. 1 may be separate or integral toother memory devices to achieve any suitable arrangement of memorydevices for use in system 10.

Processor 32 may be communicatively coupled to memory 34. Processor 32is generally operable to process market data 40 from market centers 18to determine the liquidity associated with trading products in marketcenters 18. Processor 32 is further operable to generate composite value48 and to process composite trading orders 42. Processor 32 comprisesany suitable combination of hardware and software implemented in one ormore modules to provide the described function or operation. Processor32 may execute program instructions stored in memory 34 and compriseprocessing components to execute the program instructions.

It should be noted that the internal structure of trading platform 12,and the interfaces, processors, and memory devices associated therewith,are malleable and can be readily changed, modified, rearranged, orreconfigured in order to achieve its intended operations. It should befurther understood that the internal structure of system 10, and theclients 14, market centers 18, trading platform 12, processors, andmemory devices associated therewith, are malleable and can be changed,modified, or reconfigured in order to achieve the intended operations ofsystem 10.

In operation, trading platform 12 may receive market data 40 from marketcenters 18. Using at least market data 40, processor 32 may generatecomposite value 48. Composite value 48 may be based on the liquidity ofvarious trading products in market centers 18, on current and/orhistorical data associated with the various trading products, on tradingpreferences 50 of a particular trader 24, and/or on any number andsuitable combination of mathematical computations and/or models. In someembodiments, composite value 48 may represent a weighted quantity ofrelated trading products that are available for trade in various marketcenters 18 at any given time. Trading platform 12 may transmit compositevalue 48 to client 14.

Client 14 may display composite value 48 to trader 24. Composite value48 may be displayed by client 14 according to various contextualpositions and/or highlighting conventions operable to aid trader 24 inthe recognition of a looming trading opportunity pursuant to preferences50, trading strategies, and/or any suitable criteria. In a singleaction, trader 24 may input into client 14 composite trading order 42.Composite trading order 42 may be a quantity based on composite value48. Client 14 may transmit composite trading order 42 to tradingplatform 12. Using market data 40, preferences 50, and/or ruleset 38,processor 32 may generate constituent trading orders 46 for one or moretrading products underlying composite trading order 42. Trading platform12 may substantially simultaneously transmit constituent trading orders46 to market centers 18 for execution.

System 10 is thereby operable to display to trader 24 a single compositevalue 48 representing multiple trading products in multiple marketcenters 18. Using composite value 48, trader 24 may, in a single action,submit composite trading order 42 to aggress across liquidity pools 70of multiple trading products. Upon receiving composite trading order 42,system 10 may generate multiple constituent trading orders 46 based onthe related trading products underlying composite trading order 42.Constituent trading orders 46 may be transmitted substantiallysimultaneously to any number and combination of market centers 18 forexecution. Thus, system 10 may save trader 24 the time and effortinvolved in preparing and submitting to different market centers 18multiple individual trading orders 20 for related trading products.Because trading information associated with multiple trading products ispresented as a single composite value 48, it may not be necessary fortrader 24 to separately track different trading products underlyingcomposite value 48 and their relationships and to subsequently trade onthese separate trading products at various different times or withvarious different trading orders 20. Notably, because composite value 48is based on relationships among multiple trading products in variousmarket centers 18, trader 24 may aggress across multiple liquidity pools70 with constituent trading orders 46 that collectively may be filledquickly and efficiently.

In FIG. 1, the generating of composite trading value 48 is performed byprocessor 32 in trading platform 12. According to certain embodiments,however, the functionality of generating composite trading value 48 maybe performed by clients 14.

FIG. 2 illustrates an alternative architecture of trading system 10according to certain embodiments of the present invention. In someembodiments, trading system 10 comprises clients 14, trading platform12, and market centers 18. Some or all of the components of tradingsystem 10 may be communicatively coupled via networks 16. Trading system10 may be operable to perform the same functions and operationsdescribed above with respect to FIG. 1.

Trading system 10 may comprise market centers 18. Market centers 18 maybe operable to receive trading orders 20 and/or constituent tradingorders 46 from trading platform 12 and/or clients 14. Market centers 18may be further operable to transmit to trading platform 12 and/orclients 14 market data 40.

Trading platform 12 may be communicatively coupled to market centers 18.In some embodiments, trading platform 12 may be operable to receivetrading orders 20 and/or constituent trading orders 46 from clients 14.Trading platform 12 may be further operable to route trading orders 20and/or constituent trading orders 46 to any suitable number andcombination of market centers 18. Trading platform 12 may receive marketdata 40 from market centers 18 and may transmit market data 40 toclients 14.

Trading platform 12 may be operable to communicate with one or moreclients 14. According to certain embodiments, some clients 14 a may becommunicatively coupled to trading platform 12. Other clients 14 b maybe communicatively coupled to market centers 18. Clients 14 b mayreceive market data 40 from and may transmit trading orders 20 and/orconstituent trading orders 46 to market centers 18 without the use oftrading platform 12.

In certain embodiments, the functionality of generating composite value48 may be performed by clients 14 rather than trading platform 12. Insome embodiments, a particular client 14 may comprise processor 32,memory 34, and user interface 52. Generally, client 14 may use marketdata 40 to determine the liquidity of trading products in market centers18. Using market data 40, ruleset 38, and/or preferences 50, client 14may generate composite value 48 based at least in part on one or moretrading products.

Client 14 may comprise user interface 52. Generally, user interface 52may receive inputs from trader 24 and may provide trader 24 with anefficient and user friendly presentation of trading information. Userinterface 52 may represent any number and combination of suitable inputand/or output devices such as, for example, a display, microphone,keyboard, and/or any other appropriate terminal equipment according toparticular configurations and arrangements.

User interface 52 may be communicatively coupled to processor 32.Processor 32 may be operable to perform the same functions andoperations described above with respect to FIG. 1. Processor 32 may becommunicatively coupled to memory 34. Memory 34 may be operable toperform the same functions and operations described above with respectto FIG. 1. For example, memory 34 may store one or more trader profiles36 associated with one or more traders 24. Each trader profile 36 maystore one or more preferences 50 associated with one or more traders 24.In some embodiments, memory 34 of a particular client 14 may comprisetrader profiles 36 for those traders 24 that are associated with thatclient 14.

In addition to storing trader profiles 36, memory 34 may store ruleset38 and logic 39. Ruleset 38 and logic 39 are operable to perform thesame functions and operations described above with respect to FIG. 1.

In operation, client 14 may receive market data 40 from market centers18 and/or trading platform 12. Using at least market data 40, processor32 may generate composite value 48. Composite value 48 may be based onthe liquidity of various trading products in market centers 18, oncurrent and/or historical data associated with the various tradingproducts, on trading preferences 50 of a particular trader 24, and/or onany number and suitable combination of mathematical computations and/ormodels. In some embodiments, composite value 48 may represent a weightedquantity of related trading products that are available for trade invarious market centers 18 at any given time.

Client 14 may display composite value 48 to trader 24. In a singleaction, trader 24 may input into client 14 composite trading order 42.Composite trading order 42 may be a quantity equal to all or a portionof the available liquidity of composite value 48. Upon receivingcomposite trading order 42, processor 32 may generate constituenttrading orders 46 for one or more trading products underlying compositetrading order 42. The characteristics of constituent trading orders 46may be determined based on market data 40, preferences 50, ruleset 38,and/or any suitable trading information. Client 14 may substantiallysimultaneously transmit constituent trading orders 46 to market centers18 for execution. Alternatively, client 14 may transmit constituenttrading orders 46 to trading platform 12, which may forward constituenttrading orders 46 to market centers 18 for execution.

In some embodiments, composite value 48 may be configured as anequivalent quantity of a particular trading product. As an example,composite value 48 may be configured to represent a quantity of “10-yearequivalent” fixed income securities available for trade in marketcenters 18. The quantity of 10-year equivalent securities may encompassthe total number of available 10-year notes as well as a weightedquantity of 2-year notes, 3-year notes, 5-year notes, and any othersuitable number and combination of related trading products. Althoughthis example is based on fixed income securities of certain maturities,it will be understood that composite value 48 may be based on any numberand combination of trading products. The number and combinations oftrading products represented by composite value 48 may be configuredbased at least in part on preferences 50 of a particular trader 24. Forexample, a particular trader 24 may prefer that composite value 48 beexpressed as a weighted quantity of trading products equivalent to oneor more currencies, fixed income securities of pre-configuredmaturities, equities, options, futures contracts and/or optionscontracts, interest rate derivatives, or any other suitable tradingproduct. Thus, it should be understood that, based on preferences 50 ofa particular trader 24, composite value 48 may be configured torepresent liquidity of and relationships among any number andcombination of trading products.

Trader 24 may submit preferences 50 for determining constituent tradingorders 46. As an example, trader 24 may submit preferences 50 thatcomprise criteria for determining the nearest, least expensive,simplest, or most direct means for filling composite trading order 42.It should be understood that preferences 50 may specify any number offactors, thresholds, criteria, models, and/or functions for determiningthe market centers, relative make-up, sizes, and trading productsassociated with constituent trading orders 46.

FIG. 3 illustrates a flow of operation among various components ofsystem 10 illustrated in FIG. 1. Trading platform 12 may receive marketdata 40 from market centers 18. Market data 40 may comprise tradinginformation for trading products traded in market centers 18. For eachtrading product, market data 40 may comprise information such as, forexample, trade volumes, numbers of outstanding trading orders, bestbid/offer prices, quantities, trends, and so forth.

Using at least market data 40, processor 32 may determine compositevalue 48. In particular, processor 32 may use market data 40 todetermine the size of liquidity pools 70 associated with tradingproducts in market centers 18. Processor 32 may also use relationshipdata 62 and rules 64 to identify relationships among various tradingproducts in market centers 18. Relationship data 62 may comprise datafor comparing the current and/or historical performances, prices, yieldspreads, and other characteristics of different trading products. Rules64 may comprise appropriate mathematical formulas and/or computationmodels for particular types of trading products. In addition to ruleset38 and market data 40, processor 32 may use preferences 50 stored intrader profile 36 to determine composite value 48.

According to certain embodiments, composite value 48 may be expressed asa quantity of equivalent units of a particular trading product. Forexample, composite value 48 may be expressed as a number (or face valuedollar amount) of “ten-year equivalent” fixed income securities. Inother embodiments, composite value 48 may be expressed as a price perunit of composite trading order 42. Composite value 48 may be based onpreferences 50, market data 40, relationship data 62, and/orcharacteristics of the constituent trading products such as, forexample, best bid/offer prices, quantity, and so forth. In this regard,composite value 48 may be used by trader 24 to submit composite tradingorder 42 that is based on one or more trading products but may beequivalent (e.g., in value, size, price, spread, and/or any othersuitable characteristic) with a particular trading order 20 for a singletrading product, though more typically would be equivalent to a group ofconstituent trading orders 46, each of which acts as a trading order 20,but which collectively comprise composite trading order 42.

Notably, trading preferences 50 may comprise ratios, price ranges,quantity ranges, thresholds, yield spreads, limits, conditions, and/orany other suitable criteria that trader 24 may deem relevant to atrading decision. Trading preferences 50 may relate to any aspect oftrading orders 20 and/or composite trading orders 42 such as, forexample, instrument, market center, size, price, maturity, yieldspreads, and so forth. According to certain embodiments, preference 50of a particular trader 24 may be an algorithm, mathematical model,formula, function, and/or table customized, selected, and/or submittedby that trader 24 to system 10. Such a preference 50 may be used byprocessor 32 to generate composite value 48 to display to trader 24associated with that preference 50.

Processor 32 may transmit composite value 48 to client 14, which maydisplay composite value 48 to trader 24. In a single action, trader 24may input into client 14 composite trading order 42. Composite tradingorder 42 may be a quantity based on composite value 48. Client 14 maytransmit composite trading order 42 to trading platform 12. Using marketdata 40, preferences 50, and/or ruleset 38, processor 32 may generateconstituent trading orders 46 for one or more trading productsunderlying composite trading order 42. Trading platform 12 maysubstantially simultaneously transmit constituent trading orders 46 tomarket centers 18 for execution.

Processor 32 may generate constituent trading orders 46 based on theconstituent trading products underlying composite trading order 42. Inparticular, processor 32 may determine a quantity and/or priceassociated with each constituent trading order 46. This determinationmay be based on preferences 50, market data 40, rules 64, compositetrading order 42, relationship data 62, and/or any other suitableinformation.

To determine the appropriate quantities of the constituent, relatedtrading products underlying composite trading order 42, processor 32 mayuse any suitable information and any number and combination ofmathematical functions and models. For example, to calculate how manytwo-year, three-year, and five-year notes are equivalent to a number often-year notes, processor 32 may use the coupons, frequencies, facevalues, prices, and maturity dates of two-year, three-year, five-yearand ten-year notes as well as any number and combination of othersuitable factors for weighing related trading products. In someinstances, processor 32 may determine that the relative quantities ofthe related, constituent trading products underlying composite tradingorder 42 are such that composite trading order 42 may be filled by meansof a single constituent trading order 46 for a single trading product.In other instances, processor 32 may determine that the relativequantities of the related, constituent trading products underlyingcomposite trading order 42 are such that composite trading order 42 maypreferably be filled by two or more constituent trading orders 46 fordifferent trading products.

In some embodiments, processor 32 may seek the most closely correlatedfulfillment of composite trading order 42 using preferences 50 of trader24 stored in trader profile 36. Preferences 50 of trader 24 define someor all of the parameters, criteria, limits, and/or conditions deemedrelevant by trader 24 in making trading decisions. For example, trader24 may prefer that the yield spreads associated with certain tradingproducts underlying composite trading order 42 be less than or greaterthan a configurable threshold. As another example, trader 24 may preferthat trading product X never be more than 50% of any composite tradingorder 42. Although preferences 50 are illustrated above as percentagesand yield spreads, it should be understood that preferences 50 may bebased on any characteristic, relationship, or value of any tradingproduct.

Upon generating constituent trading orders 46, processor 32 may transmitconstituent trading orders 46 to the appropriate liquidity pools 70 inmarket centers 18 for execution. Constituent trading orders 46 may begenerated and executed substantially simultaneously. Thus, by using acomposite trading order 42 to simultaneously generate and processconstituent trading orders 46, system 10 in some embodiments enablestrader 24 to simultaneously aggress across liquidity pools 70 of relatedtrading products. In addition, because system 10 displays compositetrading order 42 associated with a single composite value 48, it is notnecessary in some embodiments for trader 24 to separately track theconstituent trading products and their relationships and or to aggresson them individually through separate transactions.

An example illustrates certain embodiments of the present invention.Trading platform 12 receives market data 40 from market centers 18.Using at least market data 40, processor 32 generates composite value48. Based on preferences 50 of trader 24, composite value 48 isconfigured as a weighted quantity of trading products related to Euros.Thus, based on preferences 50, market data 40, and ruleset 38, compositevalue 48 represents a volume of Euro equivalents that are available fortrade in market centers 18. Trading platform 12 transmits compositevalue 48 to client 14, which displays composite value 48 to trader 24.

At a particular time, composite value 48 equals 20,000,000 Euroequivalents. At this point, trader 24 decides to submit compositetrading order 42 for 10,000,000 of the 20,000,000 Euro equivalentsdisplayed as composite value 48. Accordingly, trader 24 inputs thequantity “10,000,000” into client 14 as composite trading order 42.Trading platform 12 routes composite trading order 42 to processor 32.

In this example, market center 18 comprises liquidity pool 70 a that isassociated with Euros. Based on market data 40, processor 32 determinesthat only 8,000,000 Euros are available to satisfy composite tradingorder 42 in liquidity pool 70 a. Accordingly, processor 32 determinesthat liquidity pool 70 a is insufficient to fill composite trading order42 in its entirety.

However, composite value 48 may be based on liquidity pools 70 of othertrading products related to Euros. In particular, in generatingcomposite value 48, processor 32 may have determined that six-monthfutures contracts for Euros (issued on a particular date) are related tothe trading product of Euros (e.g., currency futures related to theparticular currency). Processor 32 may have determined that the twotrading products—Euros and six-month futures on Euros—have similarperformance histories. Accordingly, because composite value 48 is basedin part on six-month futures contracts for Euros, processor 32 maygenerate at least one constituent trading order 46 for six-month futurescontracts for Euros. In the present example, processor 32 uses compositetrading order 42 to generate constituent trading orders 46 wherein theconstituent trading products are Euros and six-month futures on Euros.The collective value of the two constituent trading orders 46 may besubstantially equivalent to 10,000,000 Euros. In this example, based atleast in part on exchange rates, hedge ratios, and/or other market data40, the 10,000,000 Euro equivalents may be 8,000,000 Euros and 2,200,000six-month futures on Euros. Thus, processor 32 may generate constituenttrading orders 46 that are substantially equivalent to composite tradingorder 42 in value.

In the present example, trader 24 has only one preference 50—that nocomposite trading order 42 be based on a currency futures contract ofmore than six months. In this example, the only futures contractunderlying composite trading order 42 is a six-month futures contract.Thus, composite trading order 42 satisfies preference 50 associated withtrader 24. Processor 32 has generated two constituent trading orders 46.One constituent trading order 46 a is for 8,000,000 Euros. The otherconstituent trading order 46 b is for 2,200,000 six-month futures onEuros. The prices, quantities, and other characteristics associated withconstituent trading orders 46 may be based on market data 40, ruleset38, preferences 50, and/or any other suitable information. Processor 32may simultaneously transmit constituent trading orders 46 to marketcenters 18 for execution. Constituent trading order 46 a may betransmitted to liquidity pool 70 a associated with Euros. Constituenttrading order 46 b may be transmitted to liquidity pool 70 b associatedwith six-month futures contracts on Euros. Inasmuch as composite value48 was derived from the aggregated available Euro equivalent valueacross both liquidity pools 70 a and 70 b, and inasmuch as aggressingcomposite value 48 through composite trading order 42 led to thegeneration of constituent trading orders 46 a and 46 b based on theconditions in liquidity pools 70 a and 70 b, it is likely that bothconstituent trading orders 46 a and 46 b will be filled promptly andefficiently. In the event that composite trading order 42 could not befilled through the transmission of constituent trading orders 46 to asingle market center 18, additional constituent trading orders 46 may betransmitted to multiple market centers 18 in fulfillment of compositetrading order 42.

Although the foregoing example illustrates composite trading order 42based on a currency and futures contracts, it should be understood thatcomposite trading order 42 may be based on any suitable number andcombination of trading products. For example, system 10 may generatecomposite value 48 to facilitate trading of various cash and futuresproducts that are weighted according to any suitable characteristics,such as, for example, basis, maturity, price, and so forth. Inparticular, composite value 48 may be based on a weighted quantity ofcash notes and bonds of differing maturities as well as on variousfutures contracts associated with the cash notes and bonds. Varioustrading products underlying composite value 48 may be weighted accordingto any number and combination of factors such as, for example, yield,basis (e.g., difference between cash price and futures price of a givencommodity), and quantity. Such factors may be stored in ruleset 38,received as preferences 50 of trader 24, derived from market data 40,and/or obtained from any other suitable source.

In a particular example, trader 24 uses preferences 50 to configurecomposite value 48 to be based on 10-year notes, 10-year futures, and5-year futures available in market centers 18. At a given time, theremay be $10,000,000 face value 10-year notes, 5,000 10-year futurescontracts, and 3,000 5-year futures contracts available for trade inmarket centers 18. Using ruleset 38, market data 40 (e.g., basisinformation, hedge ratios, price, etc.), and preferences 50 submitted bytrader 24, processor 32 may determine that 5,000 10-year futurescontracts are substantially equivalent to $409,500,000 face value10-year notes and that 3,000 5-year futures contracts are substantiallyequivalent to $143,678,000 face value 10-year notes. Thus, compositevalue 48 in this example may be expressed as $563,178,000 10-yearequivalent securities. Using composite value 48, trader 24 may in asingle action submit composite trading order 42 to aggress,substantially simultaneously, across multiple liquidity pools associatedwith 10-year notes, 10-year futures, and 5-year futures. Although theforegoing example illustrates composite value 48 as based on cash fixedincome securities and futures on fixed income securities, it will beunderstood that composite value 48 may be based on any number, type, andcombination of trading products.

As additional examples, composite trading order 42 may be based on fixedincome securities of a certain maturity, on fixed income securities ofdiffering maturities, on cash fixed income securities and futurescontracts for cash fixed income securities, on an equity and/or on anunderlying option associated with that equity, on baskets of equities asthey relate to equity indices, on listed equity options, and onliquidity pools 70 of any number and combination of trading products inany number and combination of market centers 18. Thus, it should beunderstood that composite trading order 42 may trigger the creation ofany number of constituent trading orders 46 based on any suitablenumber, type, and combination of trading products such as, for example,goods, services, commodities, stocks, fixed income securities, interestrate derivatives, equities, options, currencies, precious metals,futures contracts, and so forth, pursuant to conditions, preferences,and tolerances specified by the user through the application ofpreferences 50, relationship data 62, rules 64, and/or any number andcombination of suitable mathematical computations and/or models.

It will be understood that processor 32 uses market data 40,relationship data 62, rules 64, and/or any number and combination ofsuitable mathematical computations and/or models to determine theappropriate quantities of the constituent, related trading productsunderlying composite trading order 42. For example, to calculate howmany bond futures are equivalent to a number of cash fixed incomesecurities, processor 32 may use hedge ratios, coupons, frequencies,face values, prices, and maturity dates associated with the relatedtrading products as well as any number and combination of other suitablefactors for weighing related trading products.

Although the foregoing example illustrates liquidity pools 70 as beinglocated in the same market center 18, it should be understood thatliquidity pools 70 a and 70 b may be located in separate market centers18. It should be further understood that a given liquidity pool 70 maybe located in one market center 18 or spread among market centers 18.

Although the foregoing example illustrates two constituent tradingproducts underlying composite trading order 42, it should be understoodthat composite trading order 42 and/or composite value 48 may be basedon any number and combination of trading products.

FIG. 4 a illustrates an example of market data 40 according to oneembodiment of the present invention. In the present example, market data40 relates to notes and bonds of differing maturities that are availablefor trade in market centers 18. Processor 32 is operable to determinecomposite value 48 based at least in part on market data 40. Compositevalue 48 may be based on market data 40, preferences 50, relationshipdata 62, rules 64, and/or any number and combination of suitablemathematical computations and/or models.

FIG. 4 b illustrates an example of composite trading order 42 andconstituent trading orders 46 according to one embodiment of the presentinvention. Trader 24 may use composite value 48 to submit compositetrading order 42 for all or a portion of composite value 48. In thepresent example, trader 24 submits composite trading order 42 for$10,000,000 face value ten-year equivalent securities. Upon receivingcomposite trading order 42, processor 32 generates one or moreconstituent trading orders 46 based on trading products underlyingcomposite value 48. In generating constituent trading orders 46,processor 32 relies in part on preferences 50 associated with trader 24.FIG. 4 c illustrates an example of trader profile 36 according tocertain embodiments of the present invention. Based on trader profile 36in the present example, processor 32 determines that trader 24 prefersto use two-year and five-year notes prior to using three-year notes ingenerating constituent trading orders 46. Accordingly, using market data40, ruleset 38, and/or preferences 50, processor 32 generates threeconstituent trading orders 46 with a collective value of $10,000,000face value ten-year equivalent securities. In the present example,constituent trading orders 46 comprise constituent trading order 46 afor $6,000,000 face value ten-year notes, constituent trading order 46 bfor $3,000,000 face value two-year notes, and constituent trading order46 c for $1,500,000 face value five-year notes. Processor 32 determinesthat this combination of trading products is substantially equivalent to$10,000,000 face value ten-year notes. Accordingly, processor 32transmits constituent trading orders 46 to market centers 18 forexecution.

In the foregoing example, processor 32 identifies two-year, three-year,five-year, and ten-year notes as being related trading products for thepurpose of generating composite value 48. It will be understood,however, that processor 32 may identify any other related tradingproducts such as, for example, futures contracts on fixed incomesecurities, interest rate derivatives, equities, and/or any othertrading product, according to ruleset 38 and/or preferences 50 of aparticular trader 24 as configured into system 10.

In the foregoing example, trader profile 36 associated with trader 24comprises preference 50 based on an order of priority among notes andbonds of differing maturities. It will be understood, however, thattrader profile 36 may comprise any number of preferences 50. It willalso be understood that preferences 50 may be based on price ranges,yield spreads, ratios, and any other suitable characteristic andcombination of characteristics associated with market data 40 and/orcomposite trading order 42.

In some embodiments, system 10 may be configured to generate compositevalue 48 and/or composite trading order 42 in response to any suitablenumber and combination of conditions. For example, in one embodiment,system 10 may be configured to generate composite trading order 42 inresponse to receiving a traditional trading order 20 for a particularquantity of a particular trading product if processor 32 determines,using at least market data 40, that trading order 20 may not be filled,for example because there is insufficient liquidity in one or moremarket centers 18 to completely or partially fill trading order 20 forthe specified trading product. In this circumstance, processor 32 maythen generate, based at least on preferences 50, a particular compositetrading order 42 that is substantially equivalent to trading order 20.Composite trading order 42 may be based on one or more trading productsthat are related to the particular trading product underlying tradingorder 20. Processor 32 may generate composite trading order 42 based onmarket data 40, preferences 50, ruleset 38, composite value 48, and/orany suitable number and combination of mathematical calculations and/ormodels. Using composite trading order 42, processor 32 may generate oneor more constituent trading orders 46 for one or more trading productsunderlying composite trading order 42. In some embodiments, processor 32may automatically transmit constituent trading orders 46 to one ormarket centers for execution. In other embodiments, client 14 may firstdisplay composite trading order 42 and a message indicating that thereis insufficient liquidity to fill trading order 20 solely with thespecified trading product. Trader 24 may then decide to proceed withcomposite trading order 42, and using client 14, trader 24 may in asingle action submit composite trading order 42 to aggress,substantially simultaneously, across multiple liquidity pools associatedwith the trading products underlying composite trading order 42.Although the foregoing example illustrates a condition based on receiptof a traditional trading order 20, it should be understood that system10 may be configured with any number and combination of suitableconditions for generating composite value 48 and/or composite tradingorder 42.

In some embodiments, system 10 may be configured to monitor whetherconstituent trading orders 46 are filled successfully in one or moremarket centers 18. System 10 may consider constituent trading order 46“not filled successfully” if it is not filled completely, not filledwithin a configurable time period, and/or not filled according to anysuitable criteria. The criteria defining whether constituent tradingorder 46 is filled successfully may be configured by trader 24 ascustomized preferences 50, may be based on industry standards, may beconfigured as default settings in system 10, and/or may be based on anysuitable factors. When processor 32 determines that a particularconstituent trading order 46 is not filled successfully, processor 32may generate one or more new constituent trading orders 46. The newconstituent trading order(s) 46 may be configured to be substantiallyequivalent to all of the unfilled portion of the preceding constituenttrading order 46. A new constituent trading order 46 may be for the sameor for different trading product(s) than was (were) associated with thepreceding constituent trading order 46. A new constituent trading order46 may be transmitted to the same or to different market center(s) 18than was (were) associated with the preceding constituent trading order46. Processor 46 may generate any number of new constituent tradingorders 46 to be substantially equivalent to a preceding constituenttrading order 46. In some embodiments, the above-mentioned functions andoperations may be referred to as “multipass” processing of constituenttrading orders 46.

Notably, in some embodiments of multipass processing, the newconstituent trading orders 46 may be based at least in part on currentmarket data 40. In particular, a new constituent trading order 46 may bebased on different market data 40 than was used to generate thepreceding constituent trading order 46. Because a new constituenttrading order may be based on current market data 40, a new constituenttrading order 46 may be more likely to be successfully filled than apreceding constituent trading order 46.

In some embodiments, processor 32 may continue the multipass processingof constituent trading orders 46 until the associated composite tradingorder 42 is filled completely. In other embodiments, there may be limitson the number of iterations involved in multipass processing ofconstituent trading orders 46. For example, processor 32 may monitor andgenerate new constituent trading orders 46 for a certain period of timeafter receiving composite trading order 42, for a certain number ofiterations, or according to any number and combination of limits. Thelimit(s) associated with multipass processing of constituent tradingorders 46 may be defined by trader 24 as customized preferences 50, maybe based on industry standards, may be configured as default settings insystem 10, and/or may be based on any suitable criteria.

The present invention offers several advantages. It should be noted thatone or more embodiments may benefit from some, none, or all of theadvantages discussed below. One advantage of the present invention isthat it displays to trader 24 a single composite value 48 representingmultiple trading products in various market centers 18. Accordingly,trader 24 is no longer required to separately track different tradingproducts and their relationships.

As another advantage, system 10 automatically generates constituenttrading orders 46 in order to substantially simultaneously aggressacross liquidity pools 70 of related trading products. According tocertain embodiments, because constituent trading orders 46 are based oncomposite trading order 42, there is typically sufficient liquidity inmarket centers 18 to quickly fill constituent trading orders 46. Becauseconstituent trading orders 46 may be filled quickly, the sizes andexistence of constituent trading orders 46 may not become known to othertraders 24 before constituent trading orders 46 are filled. As a result,before constituent trading orders 46 are filled, other traders 24 maynot be able to adversely affect the prices and/or availability oftrading products associated with constituent trading orders 46 prior toany particular leg of a multi-leg transaction being executed.

According to certain embodiments, trader 24 may configure processor 32and memory 34 to hold one or more composite trading orders 42 untilcomposite value 48 reaches a particular limit and/or threshold. Whencomposite value 48 satisfies the pre-configured limit and/or threshold,processor 32 may use current market data 40 to generate constituenttrading orders 46 based on composite trading order 42. Processor 32 maythen use constituent trading orders 46 to aggress across liquidity pools70 of related trading products. By configuring processor 32 and memory34 to hold composite trading order 42, and not submitting them to marketcenters 18 to be queued, the limits and/or intent of trader 24 are notdisclosed to other market participants. When the limits and/orthresholds associated with composite trading order 42 occur, processor32 may submit constituent trading orders 46 to market centers 18 asfresh trading orders 20. Thus, system 10 may prevent other marketparticipants from knowing of composite trading orders 42 waiting toaggress various liquidity pools 70.

As another advantage, client 14 displays to trader 24 a single compositevalue 48. Trader 24 may aggress composite value 48 by means of a singleinput such as, for example, a keystroke, voice command, mouse click, orany other suitable input. Upon detecting the input indicating acomposite trading order 42, processor 32 may generate any suitablenumber and combination of constituent trading orders 46 based at leastin part upon composite trading order 42. Processor 32 may substantiallysimultaneously transmit constituent trading orders 46 to market centers18 for execution. Thus, with a single input, trader 24 may effect thesubmission and execution of multiple constituent trading orders 46 forrelated trading products. Accordingly, system 10 may save trader 24 thetime involved in separately preparing and inputting trading orders 20for related trading products.

FIG. 5 illustrates a flow chart for processing a composite trading order42 according to one embodiment of the present invention. The methodbegins at step 402 where trading platform 12 receives market data frommarket centers 18. Market data 40 comprises information regardingcurrent market conditions such as, for example, trading volumes, numbersof outstanding trading orders 20, quantities, best bid/offer prices,trends, and so forth. At step 404, processor 32 generates compositevalue 48. Composite value 48 may be a single value that encompasses therelationships among and the liquidity of multiple trading products inmultiple market centers 18. In particular, composite value 48 mayrepresent a weighted quantity of related trading products that areavailable for trade in various market centers 18. The related tradingproducts underlying composite value 48 may correlate in theirperformance trends, may be based on the same type of financialinstrument, or may be otherwise related according to any suitable numberand combination of characteristics. Composite value 48 may be based onmarket data 40, preferences 50 in trader profile 36, ruleset 38, and/orany suitable mathematical calculations and/or models for determiningrelationships among trading products. Processor 32 may update compositevalue 48 as market data 40 is received from market centers 18.

At step 406, client 14 displays composite value 48 to trader 24. At step408, client 14 receives composite trading order 42 from a trader 24.Composite trading order 42 may be input into client 14 using a singleinput such as, for example, a keystroke, voice command, mouse click, orany other suitable input mechanism. Composite trading order 42 may be aquantity equal to all or a portion of composite value 48.

At step 410, processor 32 may generate one or more constituent tradingorders 46 associated with one or more trading products underlyingcomposite value 48. To determine the relative size and weights ofconstituent trading orders 46, processor 32 may use market data 40,ruleset 38, preferences 50, and/or any number and combination ofsuitable mathematical calculations and/or models. In certain situations,ruleset 38, preferences 50, and/or any number and combination ofsuitable mathematical calculations and/or models may indicate thatcomposite trading order 42 may be substantially equivalent to a singletrading order 20 for a particular trading product. More typically,composite trading order 42 would be substantially equivalent to a groupof constituent trading orders 46, each of which acts as a single tradingorder 20, but which collectively comprise composite trading order 42.

At step 412, processor 32 may, substantially simultaneously, transmitconstituent trading orders 46 to market centers 18 for execution. Thus,system 10 may enable trader 24 to aggress multiple liquidity pools 70 ofrelated trading products in a single action.

Although the present invention has been described in severalembodiments, a myriad of changes and modifications may be suggested toone skilled in the art, and it is intended that the present inventionencompass such changes and modifications as fall within the scope of thepresent appended claims.

What is claimed is:
 1. A method comprising: receiving, by at least onecomputing device, a trading order that comprises a first quantity of afirst financial instrument; determining, by the at least one computingdevice, that at least one market center comprises insufficient liquidityto fill the first quantity of the trading order; identifying, by the atleast one computing device, a plurality of financial instruments thatare different from the first financial instrument, in which the act ofidentifying comprises identifying one or more of the plurality offinancial instruments based at least in part on a first stored traderpreference that the identified one or more of the plurality of financialinstruments be associated with a yield spread that satisfies aconfigurable threshold; receiving, by the at least one computing device,market data from at least one market center, wherein the market datarelates to the plurality of financial instruments; generating, by the atleast one computing device, at least one constituent trading order forat least one of the plurality of financial instruments, in which the atleast one constituent trading order is configured to, if filled, satisfyat least a portion of the trading order; transmitting, by the at leastone computing device, at least one of the at least one constituenttrading order to at least one market center.
 2. The method of claim 1,further comprising: determining, by the at least one computing device,based on the market data, a composite value for the plurality offinancial instruments, in which determining the composite valuecomprises determining one or more respective weighted quantities of oneor more of the plurality of financial instruments, in which the act ofgenerating the at least one constituent trading order comprisesgenerating the at least one constituent trading order responsive todetermining the composite value, and in which the act of receiving atrading order comprises receiving a trading order from at least onemarket center.
 3. The method of claim 2, further comprising: summing aparticular quantity of the first financial instrument and the one ormore respective weighted quantities.
 4. The method of claim 1, furthercomprising: wherein the at least one constituent trading order comprisesa plurality of constituent trading orders that are configured to, iffilled, combine to satisfy the trading order.
 5. The method of claim 1,further comprising: monitoring whether the at least one constituenttrading orders is filled successfully in the at least one market center;determining that at least one of the at least one constituent tradingorder was not filled successfully; receiving further updated market datafrom the one or more market centers; and determining, based at least inpart on the further updated market data, one or more additionalconstituent trading orders, wherein the one or more additionalconstituent trading orders are configured to be substantially equivalentto an unfilled portion of the at least one constituent trading order;and transmitting, on behalf of a trader associated with the first order,the one or more additional constituent trading orders to at least onemarket center of the one or more market centers.
 6. The method of claim1, in which the first stored trader preference is a preference of atrader associated with the first trading order, further comprising:determining, by the at least one computing device, based on the marketdata, a composite value for the plurality of financial instruments,wherein at least one of identifying the plurality of financialinstruments and determining the composite value is based at least inpart on one or more stored preferences of the trader.
 7. The method ofclaim 6, in which the first stored trader preference is a preference ofa trader associated with the first trading order, in which the act ofgenerating the at least one constituent trading order comprisesgenerating the at least one constituent trading order based at least inpart on a second stored trader preference of the trader; and wherein theact of identifying the plurality of different financial instrumentsfurther comprises: identifying the plurality of different financialinstruments based at least in part on a third stored trader preferenceof the trader and not on the first stored trader preference; furthercomprising: determining, by the at least one computing device acomposite value for the plurality of financial instruments based atleast in part on the market data and a fourth stored trader preferenceof the trader and not on the first stored trader preference.
 8. Themethod of claim 1, in which the at least one constituent trading ordercomprises a first constituent trading order for one financial instrumentof the plurality of financial instruments and a second constituenttrading order for another financial instrument of the plurality offinancial instruments, the one financial instrument comprising afinancial instrument that is different from the another financialinstrument.
 9. The method of claim 8, in which the one financialinstrument comprises a note associated with a first maturity, and inwhich the another financial instrument comprises a note associated witha second maturity different from first maturity.
 10. An apparatuscomprising: at least one computing device; and a memory havinginstructions stored thereon which, when executed by the at least onecomputing device, direct the at least one computing device to: receive atrading order that comprises a first quantity of a first financialinstrument; determine that a market center comprises insufficientliquidity to fill all of the first quantity of the trading order;identify a plurality of financial instruments that are different fromthe first financial instrument, in which the act of identifyingcomprises identifying one or more of the plurality of financialinstruments based at least in part on a first stored trader preferencethat the identified one or more of the plurality of financialinstruments be associated with a yield spread that satisfies aconfigurable threshold; receive market data from one or more marketcenters, wherein the market data relates to the plurality of financialinstruments; generate at least one constituent trading order for atleast one of the plurality of financial instruments, in which the atleast one constituent trading order is configured to, if filled, satisfyat least a portion of the trading order; transmit at least one of the atleast one constituent trading order to at least one market center. 11.The apparatus of claim 10, in which the instructions, when executed bythe at least one computing device, further direct the at least onecomputing device to: determine, based on the market data, a compositevalue for the plurality of financial instruments, in which the act ofdetermining the composite value comprises: determining one or morerespective weighted quantities of one or more of the plurality offinancial instruments, and in which the act of receiving a trading ordercomprises receiving a trading order from a market center.
 12. Theapparatus of claim 11, in which the instructions, when executed by theat least one computing device, further direct the at least one computingdevice to: sum a particular quantity of the first financial instrumentand the one or more respective weighted quantities, and in which the actof transmitting the constituent trading order comprises transmitting theconstituent trading order to at least one market center.
 13. Theapparatus of claim 10, in which the instructions, when executed by theat least one computing device, further direct the at least one computingdevice to: wherein the at least one constituent trading order comprisesa plurality of constituent trading orders that are configured to, iffilled, combine to satisfy the composite trading order.
 14. Theapparatus of claim 10, in which the instructions, when executed by theat least one computing device, further direct the at least one computingdevice to: monitor whether the at least one constituent trading order isfilled successfully in the at least one market center; determine that atleast one of the at least one constituent trading order was not filledsuccessfully; receive further updated market data from the one or moremarket centers; and determine, based at least in part on the furtherupdated market data, one or more additional constituent trading orders,wherein the one or more additional constituent trading orders areconfigured to be substantially equivalent to an unfilled portion of theat least one constituent trading order; and transmit, on behalf of thetrader, the one or more additional constituent trading orders to atleast one market center of the one or more market centers.
 15. Theapparatus of claim 11, in which the first stored trader preference is apreference of a trader associated with the first trading order, andwherein the act of determining the at least one constituent tradingorder comprises: determining the one or more constituent trading ordersbased at least in part on one or more stored preferences of the trader.16. The apparatus of claim 11, in which the first stored traderpreference is a preference of a trader associated with the first tradingorder, and in which the instructions, when executed by the at least onecomputing device, further direct the at least one computing device todetermine, based on the market data, a composite value for the pluralityof financial instruments, wherein at least one of the act of identifyingthe plurality of financial instruments and the act of determining thecomposite value is based at least in part on one or more storedpreferences of the trader.
 17. The apparatus of claim 16, in which thefirst stored trader preference is a preference of a trader associatedwith the first trading order, and in which the act of generating the atleast one constituent trading order comprising generating the at leastone constituent trading order based at least in part on a second storedtrader preference of the trader; wherein identifying the plurality ofdifferent financial instruments further comprises: identifying theplurality of different financial instruments based at least in part on athird stored trader preference of the trader and not on the firstpreference; in which the instructions, when executed by the at least onecomputing device, further direct the at least one computing device to:determine a composite value based at least in part on the market dataand a fourth stored trader preference of the trader and not on the firstpreference.
 18. The apparatus of claim 10, wherein the instructions,when executed, further direct the computing device to: update thecomposite value according to current trading conditions in the one ormore market centers, wherein the market data represent tradingconditions in the one or more market centers.
 19. The apparatus of claim10, in which the one or more constituent trading orders comprise a firstconstituent trading order for one financial instrument of the pluralityof financial instruments and a second constituent trading order foranother financial instrument of the plurality of financial instruments,in which the one financial instrument is different from the anotherfinancial instrument.
 20. The apparatus of claim 19, in which the onefinancial instrument comprises a note associated with a first maturity,and in which the another financial instrument comprises a noteassociated with a second maturity different from first maturity.
 21. Anon-transitory computer-readable medium having instructions storedthereon which, when executed by at least one computing device, directthe at least one computing device to: receive a trading order thatcomprises a first quantity of a first financial instrument; determinethat a market center comprises insufficient liquidity to fill all of thefirst quantity of the trading order; identify a plurality of financialinstruments that are different from the first financial instrument, inwhich the act of identifying comprises identifying one or more of theplurality of financial instruments based at least in part on a traderpreference that the identified one or more of the plurality of financialinstruments be associated with a yield spread that satisfies aconfigurable threshold; receive market data from one or more marketcenters, wherein the market data relates to the plurality of financialinstruments; determine based on the market data, a composite value forthe plurality of financial instruments; generate at least oneconstituent trading order for at least one of the plurality of financialinstruments, in which the at least one constituent trading order isconfigured to, if filled, satisfy at least a portion of the tradingorder; transmit at least one of the at least one constituent tradingorder to at least one market center.
 22. The computer-readable medium ofclaim 21, wherein the first stored trader preference comprises apreference that a yield spread associated with one or more of theplurality of financial instruments be less than or greater than theconfigurable threshold, and wherein the at least one constituent tradingorder comprises a plurality of constituent trading orders that areconfigured to, if filled, combine to satisfy the composite tradingorder, in which the plurality of constituent trading orders comprises afirst constituent trading order for one financial instrument of theplurality of financial instruments and a second constituent tradingorder for another financial instrument of the plurality of financialinstruments, and in which the another financial instrument comprises anote associated with a second maturity different from the firstmaturity.
 23. The method of claim 1, in which each of the plurality offinancial instruments is related to the first financial instrument,wherein the first stored trader preference comprises a preference that ayield spread associated with one or more of the plurality of financialinstruments be less than or greater than the configurable threshold. 24.The method of claim 1, in which each of the plurality of financialinstruments is related to the first financial instrument, furthercomprising: causing, by the at least one computing device, the tradingorder to be partially filled by a second quantity of the first financialinstrument, in which the second quantity is less than the firstquantity.
 25. The method of claim 1, in which each of the plurality offinancial instruments is related to the first financial instrument, andin which each of the plurality of financial instruments is differentfrom the first financial instrument with respect to at least one of: (1)a financial instrument class, in which a class comprises one of anunderlying asset, a future on an underlying asset, and an option on anunderlying asset, (2) a maturity, (3) a yield, and (4) a face value.